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FORECASTING VOLATILITY
KNIGHT J., SATCHELL S. wydawnictwo: BH, 2007, wydanie III cena netto: 360.00 Twoja cena 342,00 zł + 5% vat - dodaj do koszyka This new edition of Forecasting Volatility in the Financial Markets assumes that the
reader has a firm grounding in the key principles and methods of understanding volatility
measurement and builds on that knowledge to detail cutting-edge modelling and forecasting
techniques. It provides a survey of ways to measure risk and define the different models
of volatility and return. Editors John Knight and Stephen Satchell have brought together
an impressive array of contributors who present research from their area of specialization
related to volatility forecasting. Readers with an understanding of volatility measures
and risk management strategies will benefit from this collection of up to date chapters on
the latest techniques in forecasting volatility.
* Leading thinkers present newest research on volatility forecasting
*International authors cover a broad array of subjects related to volatility forecasting
*Assumes basic knowledge of volatility, financial mathematics, and modelling
Table of Contents
List of contributors
Preface to second edition
Introduction
1 Volatility modelling in finance 1
2 Stochastic volatility and option pricing 47
3 Modelling slippage: an application to the bund futures contract 97
4 Real trading volume and price action in the foreign exchange markets 117
5 Implied risk-neutral probability density functions from option prices: a central
bank perspective 137
6 Hashing GARCH: a reassessment of volatility forecasting performance 168
7 Implied volatility forecasting: a comparison of different procedures including
fractionally integrated models with applications to UK equity options 193
8 GARCH predictions and the predictions of option prices 226
9 Volatility forecasting in a tick data model 245
10 An econometric model of downside risk 251
11 Variations in the mean and volatility of stock returns around turning points of
the business cycle 287
12 Long memory in stochastic volatility 307
13 GARCH processes - some exact results, some difficulties and a suggested
remedy 321
14 Generating composite volatility forecasts with random factor betas 347
15 The information content of the FTSE100 index option implied volatility and its
structural changes with links to loss aversion 366
Index 399
432 pages, Paperback
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